In Malaysia, non-Muslims are not allowed to preach religion to Muslims. Non-Muslims, like Christian missionaries, for example, who try to proselytise risk prosecution.
But it is difficult to categorically say that it is illegal for Muslims to convert. There are many cases where Muslims wanted to register their conversion to another religion but were prevented from doing so for various technical reasons. As far as I know, the precedent so far is that you can change religion, but you cannot officially register that conversion with the National Registration Department. In other words, as long as you keep quiet, you'll be okay.